Re: [amibroker] How are various statistical functions calculated?

[Tomasz Janeczko]

Hello,   Detailed instructions are here:   http://www.amibroker.com/guide/afl/afl_view.php?correlation   Mathematical background: http://en.wikipedia.org/wiki/Correlation Correlation(Close,Foreign("NDX","Close"),250) is correlation calculated of 250 days as defined in the article above.   So 'n' parameter in the mathematical equations presented in the article above is equal to 250.   Q: What is the difference between: StDev(Close,50) and MA(StDev(Close,1),50)?   A: the differnece is fundamental, first is standard deviation over 50 days,   second statement MA(StDev(Close,1),50) just always evaluates to ZERO, because It calculates average of ONE DAY standard deviation. Since during ONE DAY there is no deviation - so it is effectively EQUAL ZERO non-stop. If you perform moving average of ZERO you will get ZERO.     Advice: ALWAYS PLOT the output of your formula, this will clearly show you whenever things are different or not. Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: timgadd To: amibroker@yahoogroups.com Sent: Friday, April 07, 2006 7:57 PM Subject: [amibroker] How are various statistical functions calculated? I need to get something straight about the way the some of the statistical functions are calculated. I hope the explanation of what I am trying to understand is not confused by my lack of understanding. :() For example, Correlation(Close,Foreign("NDX","Close"),250) ... Is each value returned from this function the 250-bar average of a correlation value that is calculated between each bar of the two input arrays? Or does each value of the resulting array represent how two 250- period regression lines (or some other smoothing) are correlated? Likewise, is StDev(Close,50) a 50-bar average of the dispersion of each value in the array? Put differently, what is the difference between ... StDev(Close,50) and MA(StDev(Close,1),50)? Thanks Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html SPONSORED LINKS Investment management software Real estate investment software Investment property software Software support Real estate investment analysis software Investment software YAHOO! GROUPS LINKS  Visit your group "amibroker" on the web.    To unsubscribe from this group, send an email to:  [EMAIL PROTECTED]    Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.